Time-varying co-movement of sovereign credit default swaps markets: Evidence from Asia-Pacific countries

Hyunchul Lee and Hyunseok Kim

Finance Research Letters, 2024, vol. 69, issue PB

Abstract: This study explores the drivers of the co-movement of major sovereign credit default swaps (CDS) markets in Asia-Pacific countries. The lower differentials in fiscal performance among the sample countries contribute to an increase in the co-movement of the CDS markets. The political clearance differentials of corruption control among the sample countries turned out to have a negative relationship with the market co-movement. A higher similarity of social labor risk among the sample countries is positively associated with the co-movement of the CDS markets.

Keywords: Sovereign CDS; Market co-movement; Realized correlation; Differential; Similarity (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:69:y:2024:i:pb:s154461232401198x

DOI: 10.1016/j.frl.2024.106169

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